If you are working on the windows XP machines, you can create the symbolic link with the command of junction,
the following shows how to create a link from c:\msde\boqwang to %appdata%\msde
junction c:\msde\boqwang "%appdata%\msde"
You may need to find the reskit in order to run the junction function.
And if you are one the window 7 or vista box, you can try the command mklink
mklink /H c:\msde\boqwang "%appdata%\msde"
Becareful, that we are creaing some hard links, rather than the soft link. It is a Hard link in the sense that when you delete the link, you are removing the actual files.
For more details, please refers to the page Junction v1.0.6, and you can find more information on the windows 7 mklink here : mklink